We estimate generic statistical properties of a structural credit risk model by considering an ensemble of correlation matrices. This ensemble is set up by Random Matrix Theory. We demonstrate analyti
In dataset, 324 corporate customers were taken as reference. Dataset were created from information's between January 2018 and December 2020 time intervals. Financial ratios are calculated by taking fi
MATLAB codes used for the numerical analysis in the article "A New Approach to Estimating Loss-Given-Default Distribution" (Masahiko Egami, Rusudan Kevkhishvili) together with the Excel file of estim
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